Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0067
Annualized Std Dev 0.1358
Annualized Sharpe (Rf=0%) -0.0495

Row

Daily Return Statistics

Close
Observations 5585.0000
NAs 1.0000
Minimum -0.1794
Quartile 1 -0.0035
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0040
Maximum 0.0745
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0002
Variance 0.0001
Stdev 0.0086
Skewness -2.1098
Kurtosis 52.8634

Downside Risk

Close
Semi Deviation 0.0064
Gain Deviation 0.0061
Loss Deviation 0.0076
Downside Deviation (MAR=210%) 0.0115
Downside Deviation (Rf=0%) 0.0064
Downside Deviation (0%) 0.0064
Maximum Drawdown 0.5129
Historical VaR (95%) -0.0118
Historical ES (95%) -0.0203
Modified VaR (95%) -0.0093
Modified ES (95%) -0.0093
From Trough To Depth Length To Trough Recovery
1999-01-07 2008-10-10 2012-07-20 -0.5129 3404 2453 951
2012-11-12 2020-03-18 NA -0.3742 2103 1849 NA
2012-08-07 2012-08-13 2012-09-11 -0.0408 25 5 20
2012-10-12 2012-10-22 2012-10-26 -0.0289 11 7 4
2012-11-02 2012-11-06 2012-11-08 -0.0208 5 3 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 -1.9 0 0.4 0 0.9 0 -0.5 1 1 0 1.1 2
2000 -1.6 0.5 0.5 0.5 1 1 -0.5 0 0.5 0.5 0.5 1.9 5.1
2001 -0.3 0.1 0.5 0.8 0.5 -0.1 0 0 0.8 1.1 0.6 0.8 4.8
2002 0.7 0.2 -0.5 0.5 1 0.1 0.5 0.3 0 0.6 0.4 1.5 5.6
2003 0.6 0.2 -0.6 0.2 0.5 0.1 0.2 0.2 0 0.4 -0.7 0.3 1.5
2004 -0.1 0.1 -0.3 0.9 1.6 1.6 0.6 0.4 -0.7 -0.3 -0.7 0.1 3.3
2005 -0.1 0.1 0.1 0.7 0.9 1.1 0.2 0.1 -0.1 -0.1 0.6 0.6 4
2006 0.3 0 0.4 -0.1 0.8 1.5 0.6 0.1 -0.1 0.1 0.2 0.5 4.3
2007 -0.5 0.1 0.9 -0.1 0.2 0.3 -0.3 0.7 -0.1 0.4 0.4 -0.1 1.8
2008 0.2 -1 0.1 -0.7 0.6 -0.6 0.5 -0.6 1 -0.3 -4.4 1.2 -4
2009 0.4 -0.4 0.4 1.3 -0.1 -0.2 -0.1 -0.8 -0.4 -0.3 0.8 -0.1 0.7
2010 -0.1 0.6 0.1 0.3 0.1 0.1 0.5 -0.4 0.6 0.3 -0.7 2.1 3.6
2011 -0.2 1.1 -0.1 0.1 0.1 0.8 1.3 0 0.4 0.6 0.7 0.6 5.6
2012 1.4 0.5 0.1 0.1 0.2 0.3 0.8 1.2 1.3 0.7 0.5 -0.3 7.2
2013 -0.4 -0.2 -0.1 0.6 -1.3 1.6 -0.1 0.3 0 -0.9 0.2 0.7 0.5
2014 0.2 0.2 0.1 0.7 -0.5 0.4 -0.3 0.1 0.4 -0.1 0 0 1.3
2015 -0.5 1.4 0.6 -0.9 0.7 -0.1 1.6 -0.1 -0.3 -0.1 -0.3 0.6 2.3
2016 -0.2 -0.1 0 0.7 0.7 -0.2 0.1 -0.1 0.2 -0.1 -0.6 0.3 0.6
2017 -0.5 -0.2 -0.1 0.3 0.4 -0.2 0.2 0.2 0.1 0.1 0.2 0.4 0.6
2018 -0.9 -0.2 0.1 0.4 -0.3 0.1 -0.4 0.7 0.1 0.7 0.2 0.2 0.7
2019 0.4 0.3 1.2 -0.1 -0.1 0 0.9 -0.4 0.6 0.1 0.1 -0.2 2.7
2020 0.6 -1.9 -2.6 -0.1 1.3 0.1 0.2 -0.1 0 0.6 0.1 0.8 -0.9
2021 0.4 0.8 0 NA NA NA NA NA NA NA NA NA 1.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  16.8 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  16.8 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  16.8 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  16.7 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  16.5 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  16.4 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart